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@book{Peter1999,
	Author = {Peter E. Kloeden and Eckhard Platen},
	Date-Added = {2010-07-21 00:33:47 +0800},
	Date-Modified = {2010-08-19 11:56:01 +0800},
	Publisher = {Springer},
	Title = {Numerical solution of stochastic differential equations},
	Year = {1999}}

@book{lacus2008,
	Author = {Stefano Maria Lacus},
	Date-Added = {2010-07-21 00:30:04 +0800},
	Date-Modified = {2010-07-21 00:32:03 +0800},
	Publisher = {Springer},
	Title = {Simulation and inference for stochastic differential equations: with r examples},
	Year = {2008}}

@article{A-G-P-1995,
	Abstract = {This paper is concerned with various aspects of the simulation of one-dimensional reflected (or regulated) Brownian motion. The main result shows that the discretization error associated with the Euler scheme for simulation of such a process has both a strong and weak order of convergence of precisely 1/2. This contrasts with the faster order 1 achievable for simulations of SDE's without reflecting boundaries. The asymptotic distribution of the discretization error is described using Williams' decomposition of a Brownian path at the time of a minimum. Improved methods for simulation of reflected Brownian motion are discussed.},
	Author = {Asmussen, Soren and Glynn, Peter and Pitman, Jim},
	Copyright = {Copyright {\^A}{\copyright} 1995 Institute of Mathematical Statistics},
	Date-Added = {2010-05-29 13:02:29 +0800},
	Date-Modified = {2010-05-29 13:02:48 +0800},
	Issn = {10505164},
	Journal = {The Annals of Applied Probability},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {Nov., 1995},
	Number = {4},
	Pages = {875--896},
	Publisher = {Institute of Mathematical Statistics},
	Title = {Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion},
	Url = {http://www.jstor.org/stable/2245096},
	Volume = {5},
	Year = {1995},
	Bdsk-Url-1 = {http://www.jstor.org/stable/2245096}}

@book{Steven,
	Author = {Steven E. Shreve},
	Date-Added = {2010-05-20 14:28:45 +0800},
	Date-Modified = {2010-08-19 08:58:02 +0800},
	Publisher = {Springer},
	Title = {Stochastic Calculus for Finance II Continuous-Time Models},
	Year = {2003}}

@article{Dassios1996,
	Abstract = {The purpose of this note is to obtain a representation of the distribution of the {\^I}$\pm$-quantile of a process with stationary and independent increments as the sum of the supremum and the infimum of two rescaled independent copies of the process. This representation has already been proved for a Brownian motion. The proof is based on already known discrete time results.},
	Author = {Dassios, Angelos},
	Copyright = {Copyright {\^A}{\copyright} 1996 Institute of Mathematical Statistics},
	Date-Added = {2010-05-18 17:03:40 +0800},
	Date-Modified = {2010-05-18 17:05:14 +0800},
	Issn = {10505164},
	Journal = {The Annals of Applied Probability},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {Aug., 1996},
	Number = {3},
	Pages = {1041--1043},
	Publisher = {Institute of Mathematical Statistics},
	Title = {Sample quantiles of stochastic processes with stationary and independent Increments},
	Url = {http://www.jstor.org/stable/2245227},
	Volume = {6},
	Year = {1996},
	Bdsk-Url-1 = {http://www.jstor.org/stable/2245227}}

@book{Paul2006,
	Author = {Paul Willmott},
	Date-Added = {2010-05-17 18:39:19 +0800},
	Date-Modified = {2010-05-19 18:33:07 +0800},
	Publisher = {John Wiley and Sons, Ltd},
	Title = {Paul Wilmott on quantitative finance},
	Year = {2006}}

@book{Bingham1998,
	Author = {N. H. Bingham and Rudiger Kiesel},
	Date-Added = {2010-05-14 15:56:21 +0800},
	Date-Modified = {2010-05-14 16:01:17 +0800},
	Publisher = {Springer},
	Title = {Risk-neutral valuation: pricing and hedaging of fiancial derivatives},
	Year = {1998}}

@book{Wilmot1994,
	Author = {Paul Wilmott and Jeff Dewynne and Sam Howison},
	Date-Added = {2010-05-13 08:00:32 +0800},
	Date-Modified = {2010-05-20 22:22:39 +0800},
	Publisher = {Oxford Financial Press},
	Title = {Option Pricing: Mathematical Models and Computation},
	Year = {1994}}

@article{2004Broadie,
	Abstract = {This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. Emphasis is placed on recent trends and developments in methodology and modeling.},
	Author = {Mark Broadie and Jerome B. Detemple},
	Copyright = {Copyright {\^A}{\copyright} 2004 INFORMS},
	Date-Added = {2010-04-25 15:42:40 +0800},
	Date-Modified = {2010-05-12 11:13:02 +0800},
	Issn = {00251909},
	Journal = {Management Science},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {Sep., 2004},
	Number = {9},
	Pages = {1145--1177},
	Publisher = {INFORMS},
	Title = {Option pricing: valuation models and applications},
	Url = {http://www.jstor.org/stable/30046225},
	Volume = {50},
	Year = {2004},
	Bdsk-Url-1 = {http://www.jstor.org/stable/30046225}}

@article{Richardson,
	Author = {L. F. Richardson},
	Date-Added = {2010-04-20 21:19:55 +0800},
	Date-Modified = {2010-05-12 11:27:21 +0800},
	Journal = {Philosophical Transactions of the Royal Society of London},
	Pages = {307-357},
	Title = {The approximate arithmetical solution by finite differences of physical problems including differential equations, with an application to the stresses in a masonry dam},
	Volume = {210},
	Year = {1911}}

@article{Broadie1996,
	Abstract = {We develop lower and upper bounds on the prices of American call and put options written on a dividend-paying asset. We provide two option price approximations, one based on the lower bound (termed LBA) and one based on both bounds (termed LUBA). The LUBA approximation has an average accuracy comparable to a 1,000-step binomial tree with a computation speed comparable to a 50-step binomial tree. We introduce a modification of the binomial method (termed BBSR) that is very simple to implement and performs remarkably well. We also conduct a careful large-scale evaluation of many recent methods for computing American option prices.},
	Author = {Mark Broadie and Jerome Detemple},
	Copyright = {Copyright {\^A}{\copyright} 1996 Oxford University Press},
	Date-Added = {2010-03-31 15:27:27 +0800},
	Date-Modified = {2010-05-12 11:03:31 +0800},
	Issn = {08939454},
	Journal = {The Review of Financial Studies},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {Winter, 1996},
	Number = {4},
	Pages = {1211--1250},
	Publisher = {Oxford University Press. Sponsor: The Society for Financial Studies.},
	Title = {American option valuation: new bounds, approximations, and a comparison of existing methods},
	Url = {http://www.jstor.org/stable/2962227},
	Volume = {9},
	Year = {1996},
	Bdsk-Url-1 = {http://www.jstor.org/stable/2962227}}

@book{Glasserman2004,
	Author = {Paul Glasserman},
	Date-Added = {2010-03-28 16:34:10 +0800},
	Date-Modified = {2010-03-28 16:37:34 +0800},
	Publisher = {Springer-Verlag},
	Title = {Monte Carlo Methods in Financial Engineering},
	Year = {2004}}

@article{Boyle1977,
	Author = {Phelim P. Boyle},
	Date-Added = {2010-03-28 15:59:56 +0800},
	Date-Modified = {2010-05-12 11:13:35 +0800},
	Doi = {DOI: 10.1016/0304-405X(77)90005-8},
	Issn = {0304-405X},
	Journal = {Journal of Financial Economics},
	Number = {3},
	Pages = {323 - 338},
	Title = {Options: a Monte Carlo approach},
	Url = {http://www.sciencedirect.com/science/article/B6VBX-458X2BW-Y/2/dfa6a2b4ceb42aad63a2df40bbd8a4e2},
	Volume = {4},
	Year = {1977},
	Bdsk-Url-1 = {http://www.sciencedirect.com/science/article/B6VBX-458X2BW-Y/2/dfa6a2b4ceb42aad63a2df40bbd8a4e2},
	Bdsk-Url-2 = {http://dx.doi.org/10.1016/0304-405X(77)90005-8}}

@article{Amin1991,
	Author = {Kaushik Amin},
	Date-Added = {2010-03-27 21:36:55 +0800},
	Date-Modified = {2010-05-12 11:08:24 +0800},
	Journal = {Journal of Financial and Quantitative Analysis},
	Pages = {477-496},
	Title = {On the compuatation of continuous time option price using discrete approximation},
	Year = {1991}}

@book{Jarrow1983,
	Author = {Robert A. Jarrow and Andrew Rudd},
	Date-Added = {2010-03-27 19:33:40 +0800},
	Date-Modified = {2010-03-27 21:04:11 +0800},
	Publisher = {Irwin Professional Pub},
	Title = {Option pricing},
	Year = {1983}}

@article{Boyle1986,
	Author = {Phelim P Boyle},
	Date-Added = {2010-03-27 19:28:04 +0800},
	Date-Modified = {2010-05-12 11:13:21 +0800},
	Journal = {International Options Journal},
	Pages = {7-12},
	Title = {Option valuation using a three-jump process},
	Volume = {3},
	Year = {1986}}

@article{cox1979,
	Author = {John C. Cox and Stephen A. Ross and Mark Rubinstein},
	Date-Added = {2010-03-27 19:22:52 +0800},
	Date-Modified = {2010-05-17 04:44:58 +0800},
	Journal = {Journal of financial Enconomy},
	Pages = {229-263},
	Title = {Option pricing: a simplified approach},
	Volume = {7},
	Year = {1979}}

@article{Laura2001,
	Author = {Laura Ballotta and Andreas Kyprianou},
	Date-Added = {2010-03-26 16:38:24 +0800},
	Date-Modified = {2010-05-12 11:00:23 +0800},
	Journal = {Applied Mathematical Finance},
	Pages = {137-144},
	Title = {A note on alpha-quantile option},
	Volume = {8},
	Year = {2001}}

@article{Conze1991,
	Abstract = {Lookback options are path dependent contingent claims whose payoffs depend on the extreme of a given security's price over a certain period of time. Using probabilistic tools, we derive explicit formulas for various European lookback options, and provide some results about their American counterparts.},
	Author = {Conze, Antoine and Viswanathan},
	Copyright = {Copyright ¬{\copyright} 1991 American Finance Association},
	Date-Added = {2010-03-11 23:56:18 +0800},
	Date-Modified = {2010-05-12 11:21:46 +0800},
	Issn = {00221082},
	Journal = {The Journal of Finance},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {Dec., 1991},
	Number = {5},
	Pages = {1893--1907},
	Publisher = {Blackwell Publishing for the American Finance Association},
	Title = {Path dependent options: the case of lookback options},
	Url = {http://www.jstor.org/stable/2328577},
	Volume = {46},
	Year = {1991},
	Bdsk-Url-1 = {http://www.jstor.org/stable/2328577}}

@article{Goldman1979,
	Author = {Goldman, M Barry and Sosin, Howard B and Gatto, Mary Ann},
	Date-Added = {2010-03-11 20:27:13 +0800},
	Date-Modified = {2010-05-12 11:19:07 +0800},
	Journal = {Journal of Finance},
	Number = {5},
	Pages = {1111-27},
	Title = {Path dependent options: "buy at the low, sell at the high"},
	Url = {http://econpapers.repec.org/RePEc:bla:jfinan:v:34:y:1979:i:5:p:1111-27},
	Volume = {34},
	Year = {1979},
	Bdsk-Url-1 = {http://econpapers.repec.org/RePEc:bla:jfinan:v:34:y:1979:i:5:p:1111-27}}

@article{Kreps1981,
	Author = {David M. Kreps},
	Date-Added = {2010-03-11 18:41:58 +0800},
	Date-Modified = {2010-05-12 11:03:46 +0800},
	Journal = {Journal of Mathematical Economics},
	Number = {1},
	Pages = {15-35},
	Title = {Arbitrage and equilibrium in economies with infinitely many commoditiesquilibrium in Economies with Infinitely many Commodities},
	Url = {http://econpapers.repec.org/RePEc:eee:mateco:v:8:y:1981:i:1:p:15-35},
	Volume = {8},
	Year = {1981},
	Bdsk-Url-1 = {http://econpapers.repec.org/RePEc:eee:mateco:v:8:y:1981:i:1:p:15-35}}

@article{Harrison1981,
	Author = {J. Michael Harrison and Stanley R. Pliska},
	Date-Added = {2010-03-11 18:36:15 +0800},
	Date-Modified = {2010-03-11 18:36:15 +0800},
	Interhash = {13d5759096e227914353c786ce1a7580},
	Intrahash = {0b4661c02bc583fe8548c7166ab4bda8},
	Journal = {Stochastic Processes and their Applications},
	Month = Aug,
	Number = {3},
	Pages = {215--260},
	Title = {Martingales and stochastic integrals in the theory of continuous trading},
	Url = {http://www.sciencedirect.com/science/article/B6V1B-45FCS8R-X/1/586ee2f8505da98c55a4d03980d781b4},
	Volume = {11},
	Year = {1981},
	Bdsk-Url-1 = {http://www.sciencedirect.com/science/article/B6V1B-45FCS8R-X/1/586ee2f8505da98c55a4d03980d781b4}}

@article{HarrisonKreps1979,
	Author = {Harrison, J. Michael and Kreps, David M.},
	Date-Added = {2010-03-11 18:33:03 +0800},
	Date-Modified = {2010-03-11 18:33:52 +0800},
	Journal = {Journal of Economic Theory},
	Number = {3},
	Pages = {381-408},
	Title = {Martingales and arbitrage in multiperiod securities markets},
	Volume = {20},
	Year = {1979},
	Bdsk-Url-1 = {http://econpapers.repec.org/RePEc:eee:jetheo:v:20:y:1979:i:3:p:381-408}}

@article{cox-ross1976,
	Author = {J. C. Cox and S. Ross},
	Date-Added = {2010-02-08 16:58:26 +0800},
	Date-Modified = {2010-02-08 20:14:15 +0800},
	Journal = {Financial Economy},
	Pages = {145-166},
	Title = {The valuation of options for alternative stochastic proscesses.},
	Volume = {3},
	Year = {1976}}

@article{Akahori1995,
	Abstract = {In this paper we present an explicit form of the distribution function
	of the occupation time of a Brownian motion with a constant drift
	(if there is no drift, this is the well-known arc-sine law). We also
	define the {\OE}$\pm$-percentile of the stock price and give an explicit
	form of the distribution function of this random variable. Using
	this explicit distribution, we calculate the price of a new type
	of path-dependent option, called the {\OE}$\pm$-percentile option.
	This option was first introduced by Miura and is based on order statistics.},
	Author = {Jiro Akahori},
	Copyright = {Copyright ¬{\copyright} 1995 Institute of Mathematical Statistics},
	Date-Added = {2009-11-02 20:06:34 +0800},
	Date-Modified = {2010-05-12 11:23:57 +0800},
	Issn = {10505164},
	Journal = {The Annals of Applied Probability},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {May, 1995},
	Number = {2},
	Pages = {383--388},
	Publisher = {Institute of Mathematical Statistics},
	Title = {Some formulae for a new type of path-dependent option},
	Url = {http://www.jstor.org/stable/2245303},
	Volume = {5},
	Year = {1995},
	Bdsk-Url-1 = {http://www.jstor.org/stable/2245303}}

@article{Ballotta2001,
	Author = {Laura Ballotta},
	Date-Added = {2009-11-08 17:09:43 +0800},
	Date-Modified = {2010-05-12 11:02:56 +0800},
	Journal = {Financial Engineering E-Commerce and Supply Chain},
	Pages = {75-84},
	Title = {Alpha-quantile option in a jump-diffusion economy},
	Year = {2002}}

@article{Barraquand1996,
	Author = {J. Barraquand and T. Pudet},
	Date-Added = {2009-11-06 14:41:56 +0800},
	Date-Modified = {2010-05-12 11:22:17 +0800},
	Journal = {Mathematical Finance},
	Pages = {17-51},
	Title = {Pricing of American path-dependent contingent claims},
	Volume = {6},
	Year = {1996}}

@article{Black:1973,
	Author = {Fischer Black and Myron Scholes},
	Date-Added = {2009-10-21 21:25:36 +0800},
	Date-Modified = {2010-05-12 11:25:28 +0800},
	Doi = {10.1086/260062},
	Eprint = {http://www.journals.uchicago.edu/doi/pdf/10.1086/260062},
	Journal = {Journal of Political Economy},
	Number = {3},
	Pages = {637},
	Title = {The pricing of options and corporate liabilities},
	Url = {http://www.journals.uchicago.edu/doi/abs/10.1086/260062},
	Volume = {81},
	Year = {1973},
	Bdsk-Url-1 = {http://www.journals.uchicago.edu/doi/abs/10.1086/260062},
	Bdsk-Url-2 = {http://dx.doi.org/10.1086/260062}}

@article{Boyle1997,
	Author = {Phelim Boyle and Mark Broadie and Paul Glasserman},
	Date-Added = {2009-11-07 18:09:29 +0800},
	Date-Modified = {2009-11-07 18:09:36 +0800},
	Doi = {DOI: 10.1016/S0165-1889(97)00028-6},
	Issn = {0165-1889},
	Journal = {Journal of Economic Dynamics and Control},
	Keywords = {& Derivative estimation},
	Note = {Computational financial modelling},
	Number = {8-9},
	Pages = {1267 - 1321},
	Title = {Monte Carlo methods for security pricing},
	Url = {http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-2/2/1f9ce22ae471f4e3c46476eae20faa13},
	Volume = {21},
	Year = {1997},
	Bdsk-Url-1 = {http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-2/2/1f9ce22ae471f4e3c46476eae20faa13},
	Bdsk-Url-2 = {http://dx.doi.org/10.1016/S0165-1889(97)00028-6}}

@article{Broadie1999,
	Author = {Mark Broadie and Paul Glasserman and S. G. Kou},
	Date-Added = {2009-10-26 12:23:46 +0800},
	Date-Modified = {2010-05-12 11:04:36 +0800},
	Journal = {Finance and Stochastics},
	Title = {Connecting discrete and continuous path-dependent options},
	Year = {1999}}

@article{Chaumont1999,
	Abstract = {We first establish a combinatorial result on deterministic real chains.
	This is then applied to prove a path transformation for chains with
	exchangeable increments. From this transformation we derive an identity
	on order statistics due to Port, together with some extensions. Then
	we give an interpretation of these results in continuous time. We
	extend some identities involving quantiles and occupation times for
	processes with exchangeable increments. In particular, this yields
	an extension of the uniform law for bridges obtained by Knight.},
	Author = {Lo\"ic Chaumont},
	Date-Modified = {2010-05-12 11:01:17 +0800},
	Doi = {10.1112/S0024610798006929},
	Eprint = {http://jlms.oxfordjournals.org/cgi/reprint/59/2/729.pdf},
	File = {:D\:\\eBooks\\papers\\probility\\L. Chaumont, a path transformation and its applications to fluctuation theory.PDF:PDF},
	Journal = {Journal of the London Mathematical Society},
	Number = {2},
	Pages = {729-741},
	Title = {{A path transformation and its applications to fluctuation theory}},
	Url = {http://jlms.oxfordjournals.org/cgi/content/abstract/59/2/729},
	Volume = {59},
	Year = {1999},
	Bdsk-Url-1 = {http://jlms.oxfordjournals.org/cgi/content/abstract/59/2/729},
	Bdsk-Url-2 = {http://dx.doi.org/10.1112/S0024610798006929}}

@article{Dassios2005,
	Abstract = {{Summary: The distribution of the $\alpha$-quantile of a Brownian
	motion on an interval $[0,t]$ has been obtained motivated by a problem
	in financial mathematics. We generalize these results by calculating
	an explicit expression for the joint density of the $\alpha$-quantile
	of a standard Brownian motion, its first and last hitting times and
	the value of the process at time $t$. Our results can easily be generalized
	to a Brownian motion with drift. It is shown that the first and last
	hitting times follow a transformed arcsine law.}},
	Author = {Dassios, Angelos},
	Classmath = {{*60J65 (Brownian motion) }},
	Doi = {10.3150/bj/1110228240},
	File = {:D\:\\eBooks\\papers\\probility\\Angelos Dassios, On the quantiles of brownain motion and their hitting times.pdf:PDF},
	Journal = {Bernoulli},
	Keywords = {{arcsine law; hitting times; quantiles of Brownian motion}},
	Language = {English},
	Number = {1},
	Pages = {29-36},
	Title = {{On the quantiles of Brownian motion and their hitting times.}},
	Volume = {11},
	Year = {2005},
	Bdsk-Url-1 = {http://dx.doi.org/10.3150/bj/1110228240}}

@article{Dassios1995,
	Abstract = {The study of the quantile of a Brownian motion with a drift is undertaken.
	An explicit formula for its density, as well as a representation
	of its distribution as the sum of the maximum and the minimum of
	two rescaled independent Brownian motions with drift, is given. The
	result is used in the pricing of a financial path-dependent option
	due to Miura.},
	Author = {Dassios, Angelos},
	Copyright = {Copyright ¬{\copyright} 1995 Institute of Mathematical Statistics},
	Date-Added = {2009-11-08 22:05:59 +0800},
	Date-Modified = {2010-05-12 11:25:04 +0800},
	Issn = {10505164},
	Journal = {The Annals of Applied Probability},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {May, 1995},
	Number = {2},
	Pages = {389--398},
	Publisher = {Institute of Mathematical Statistics},
	Title = {The distribution of the quantile of a Brownian Motion with drift and the pricing of related path-dependent options},
	Url = {http://www.jstor.org/stable/2245304},
	Volume = {5},
	Year = {1995},
	Bdsk-Url-1 = {http://www.jstor.org/stable/2245304}}

@article{EmRoge1995,
	Abstract = {{Let $X$ be a real-valued Brownian motion with drift. Define for $0
	\leq \alpha \leq 1$ $$M(\alpha, t) = \inf \Biggl\{ x : \int^1_0 1_{\{X_s
	\leq x\}} ds &gt; \alpha t \Biggr\},$$ the $\alpha$-quantile of the
	occupation measure of $X$ on the time interval $[0,t]$. Motivated
	by questions in mathematical finance on the pricing of options, {\it
	A. Dassios} [ibid. 5, No. 2, 389-398 (1995; Zbl 0837.60076)] observed
	the following striking identity in law: $$M(\alpha, t) \overset (d)
	\to = \sup_{0 \leq s \leq \alpha t} X_s + \inf_{0 \leq s \leq (1
	- \alpha)t} X_s', \tag *$$ where $X'$ is an independent copy of $X$.
	As a matter of fact, a discrete time version of this identity has
	been previously proven by {\it J. G. Wendel} [Ann. Math. Stat. 31,
	1034-1044 (1960; Zbl 0118.33701)] and {\it S. C. Port} [J. Math.
	Anal. Appl. 6, 109-151 (1963; Zbl 0114.34101)] in their study of
	ordered statistics of partial sums. The paper under review contains
	two proofs of the identity (*). The first relies on the celebrated
	identity of Sparre-Andersen, and the second on a path decomposition
	of Brownian motion with drift which extends an earlier result of
	the reviewer [in: S\'eminaire de probabilit\'es XXV, Lect. Notes
	Math. 1485, 330-344 (1991; Zbl 0741.60077)]. More recently, the latter
	approach has been extended by {\it Chaumont, M. Yor} and the reviewer
	[``Two chain-transformations and their applications to quantiles''
	(to appear in J. Appl. Probab.)] to explain a more general version
	of (*).}},
	Author = {Embrechts, P. and Rogers, L.C.G. and Yor, M.},
	Classmath = {{*60J99 (Markov processes) 60J20 (Appl. of discrete Markov processes) }},
	Date-Modified = {2010-05-12 11:02:22 +0800},
	Doi = {10.1214/aoap/1177004704},
	File = {:D\:\\eBooks\\papers\\probility\\P. Embrechts, L. C. G. Rogers, M. Yor, A Proof of Dassios' Representation of the alpha-Quantile of Brownian Motion with Drift.pdf:PDF},
	Journal = {The Annals of Applied Probability},
	Keywords = {{alpha-quantile; Brownian motion with drift; path decomposition of Brownian motion with drift}},
	Language = {English},
	Number = {3},
	Pages = {757-767},
	Reviewer = {{J.Bertoin (Paris)}},
	Title = {{A proof of Dassios' representation of the $\alpha$-quantile of Brownian motion with drift.}},
	Volume = {5},
	Year = {1995},
	Bdsk-Url-1 = {http://dx.doi.org/10.1214/aoap/1177004704}}

@conference{Forsyth1999,
	Author = {P. A. Forsyth and K. R. Vetzal and R. Zvan},
	Booktitle = {Proceedings of the 9th Annual Derivatives Securities Conference},
	Date-Added = {2009-11-05 21:30:22 +0800},
	Date-Modified = {2010-05-12 11:05:09 +0800},
	Title = {Convergence of lattice and PDE methods for pricing asian options},
	Year = {1999}}

@article{Hull1993,
	Author = {J Hull and A White},
	Date-Added = {2009-11-05 20:45:27 +0800},
	Date-Modified = {2010-05-12 11:06:50 +0800},
	Journal = {The Journal of Derivatives},
	Pages = {21-31},
	Title = {Efficient procedures for valuing European and American pathe dependent contracts on the average},
	Volume = {1},
	Year = {1993}}

@book{Hull2008,
	Abstract = {{<P style="MARGIN: 0px"><B>KEY BENEFIT</B>: Updated and revised to
	reflect the most current information, this introduction to futures
	and options markets is ideal for those with a limited background
	in mathematics. </P> <P style="MARGIN: 0px"><B>KEY TOPICS</B>: Based
	on Hull's Options, Futures and Other Derivatives, one of the best-selling
	books on Wall Street, this book presents an accessible overview of
	the topic without the use of calculus. Packed with numerical samples
	and accounts of real-life situations, the Fifth Edition effectively
	guides readers through the material while providing them with a host
	of tangible examples. </P> <P style="MARGIN: 0px"><B>MARKET</B>:
	For professionals with a career in futures and options markets, financial
	engineering and/or risk management.</P>}},
	Author = {Hull, John C.},
	Citeulike-Article-Id = {2550005},
	Citeulike-Linkout-0 = {http://www.amazon.ca/exec/obidos/redirect?tag=citeulike09-20&amp;path=ASIN/0136015867},
	Citeulike-Linkout-1 = {http://www.amazon.de/exec/obidos/redirect?tag=citeulike01-21&amp;path=ASIN/0136015867},
	Citeulike-Linkout-2 = {http://www.amazon.fr/exec/obidos/redirect?tag=citeulike06-21&amp;path=ASIN/0136015867},
	Citeulike-Linkout-3 = {http://www.amazon.co.uk/exec/obidos/ASIN/0136015867/citeulike00-21},
	Citeulike-Linkout-4 = {http://www.amazon.com/exec/obidos/redirect?tag=citeulike07-20&path=ASIN/0136015867},
	Citeulike-Linkout-5 = {http://www.worldcat.org/isbn/0136015867},
	Citeulike-Linkout-6 = {http://books.google.com/books?vid=ISBN0136015867},
	Citeulike-Linkout-7 = {http://www.amazon.com/gp/search?keywords=0136015867&index=books&linkCode=qs},
	Citeulike-Linkout-8 = {http://www.librarything.com/isbn/0136015867},
	Date-Added = {2009-10-25 21:05:25 +0800},
	Date-Modified = {2010-05-12 11:13:57 +0800},
	Howpublished = {Paperback},
	Isbn = {0136015867},
	Keywords = {frm},
	Month = {May},
	Posted-At = {2008-03-18 10:30:11},
	Priority = {2},
	Publisher = {{Prentice Hall}},
	Title = {Options, futures, and other derivatives (7th Edition)},
	Url = {http://www.amazon.com/exec/obidos/redirect?tag=citeulike07-20&path=ASIN/0136015867},
	Year = {2008},
	Bdsk-Url-1 = {http://www.amazon.com/exec/obidos/redirect?tag=citeulike07-20&path=ASIN/0136015867}}

@article{Janssen2008,
	Author = {Janssen, A. and Van Leeuwaarden, J.},
	Journal = {Electronic Communications in Probability},
	Pages = {143-150},
	Paper = {14},
	Title = {Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon},
	Url = {http://www.math.washington.edu/~ejpecp/EcpVol14/paper14.abs.html},
	Volume = {14},
	Year = {2009},
	Bdsk-Url-1 = {http://www.math.washington.edu/~ejpecp/EcpVol14/paper14.abs.html}}

@book{Karatzas91,
	Author = {I Karatzas and S E Shreve},
	Date-Modified = {2010-05-12 11:04:11 +0800},
	Owner = {hoxide},
	Publisher = {Springer},
	Timestamp = {2009.10.13},
	Title = {Brownian motion and stochastic calculus},
	Year = {1991}}

@article{Kwok2001,
	Author = {Yue Kuen Kwok and Ka Wo Lau},
	Date-Added = {2009-11-04 16:02:45 +0800},
	Date-Modified = {2009-11-04 16:08:20 +0800},
	Journal = {The Journal of Derivatives},
	Number = {1},
	Pages = {28-38},
	Title = {Pricing algorithms for options with exotic path-dependence},
	Volume = {9},
	Year = {2001}}

@article{Lim2004,
	Abstract = {No abstract is available for this item.},
	Author = {Tze Leung Lai and Tiong Wee Lim},
	Date-Added = {2009-10-28 17:26:54 +0800},
	Date-Modified = {2010-05-12 11:07:41 +0800},
	Journal = {Mathematical Finance},
	Number = {2},
	Pages = {249-269},
	Title = {Exercise regions and efficient valuation of American lookback options},
	Url = {http://ideas.repec.org/a/bla/mathfi/v14y2004i2p249-269.html},
	Volume = {14},
	Year = {2004},
	Bdsk-Url-1 = {http://ideas.repec.org/a/bla/mathfi/v14y2004i2p249-269.html}}

@article{Merton1973,
	Author = {Merton, Robert. C.},
	Date-Added = {2009-12-06 19:11:59 +0800},
	Date-Modified = {2009-12-06 19:22:19 +0800},
	Journal = {Bell Journal of Economics and Management Science},
	Number = {1},
	Pages = {141-183},
	Title = {Theory of rational option pricing},
	Volume = {4},
	Year = {1973}}

@article{Miura,
	Author = {Ryozo Miura},
	Date-Added = {2009-11-02 19:43:12 +0800},
	Date-Modified = {2010-05-12 11:00:52 +0800},
	Issn = {00182796},
	Journal = {Hitotsubashi Journal of Commerce and Management},
	Number = {1},
	Pages = {15-28},
	Title = {A note on look-back options based on order statistics},
	Url = {http://ci.nii.ac.jp/naid/110000001984/en/},
	Volume = {27},
	Year = {1992},
	Bdsk-Url-1 = {http://ci.nii.ac.jp/naid/110000001984/en/}}

@article{Vijh1993,
	Abstract = {This article values option contracts based on the average price realized
	over a finite time horizon. Such contracts are of importance to traders
	who periodically transact in spot markets and who require protection
	from adverse moves in their total accrued costs realized over their
	trading horizons. Explicit valuation models for pricing a variety
	of path dependent contracts based on geometric and arithmetic averages
	are developed. The early exercise features of American contracts
	are investigated, and it is shown that this feature has significant
	value.},
	Author = {Ritchken, Peter and Sankarasubramanian, L. and Anand M. Vijh},
	Copyright = {Copyright ¬{\copyright} 1993 INFORMS},
	Date-Added = {2009-11-05 20:58:54 +0800},
	Date-Modified = {2010-05-12 11:28:36 +0800},
	Issn = {00251909},
	Journal = {Management Science},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {Oct., 1993},
	Number = {10},
	Pages = {1202--1213},
	Publisher = {INFORMS},
	Title = {The valuation of path dependent contracts on the average},
	Url = {http://www.jstor.org/stable/2632958},
	Volume = {39},
	Year = {1993},
	Bdsk-Url-1 = {http://www.jstor.org/stable/2632958}}

@article{Wendel1960,
	Author = {J. G. Wendel},
	Copyright = {Copyright 1960 Institute of Mathematical Statistics},
	Date-Modified = {2010-05-12 11:14:45 +0800},
	File = {:D\:\\eBooks\\papers\\probility\\J. G. Wendel, Order Statistics of Partial Sums.pdf:PDF},
	Issn = {00034851},
	Journal = {The Annals of Mathematical Statistics},
	Jstor_Articletype = {primary_article},
	Jstor_Formatteddate = {Dec., 1960},
	Number = {4},
	Pages = {1034--1044},
	Publisher = {Institute of Mathematical Statistics},
	Title = {Order statistics of partial sums},
	Url = {http://www.jstor.org/stable/2237802},
	Volume = {31},
	Year = {1960},
	Bdsk-Url-1 = {http://www.jstor.org/stable/2237802}}

@article{Yor1995,
	Author = {Marc Yor},
	Date-Added = {2009-11-08 18:43:48 +0800},
	Date-Modified = {2010-05-12 11:24:19 +0800},
	Journal = {Journal of Applied Probability},
	Pages = {405-416},
	Title = {The distribution of Brownian quantiles},
	Volume = {32},
	Year = {1995}}
